Thread by @perushka

1/
Some more #ES stats, this time focused on overnight inventory correction and on B-period in relation to A-period.

The date range is the same as in the previous thread: +/- the past 90 days.

2/
I considered it a correction when 10pts or more were corrected in relation to the ETH closing price.

- Overnight Inventory was corrected 60% of the time.

- When the RTH session opened within ¼ of the ETH range from the ETH high or low, that figure increased to 66.75%.

3/
- When the RTH session opened within 5pts of the ETH high or low, that figure increased to 77%.

- Whenever ON Inventory was corrected,
that correction happened during A-Period 77.5% of the time.

4/
- If the correction didn’t happen during A-Period,
only fewer than 2% of the time it occurred during B-Period.

5/
- Whenever the RTH session opened on a gap,
the market kept moving in the direction of the gap 59% of the time (tolerance of 5pts MAE).

- When the RTH session opened within ¼ of the ETH range from the ETH high or low, that figure increased to 70.5%

6/
A- and B-Periods:
- The average A-Period range was 20.50pts.

- The average B-Period range was 15.50 pts.

B-Period had a narrower range than A-Period 76.5% of the time.

7/

8/
- The average A-Period volume was 177’626 contracts.

- When the A-Period volume was above average,
B-Period had a narrower range 70% of the time.

- When the A-Period volume was below average,
B-Period had a narrower range 80.50% of the time.

9/
Note:
Figures have been rounded to a quarter of a percent.